Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 2 | 2 | 1 |
| Score | -4.48 | -2.78 | -6.05 |
| Market Cap (Millions USD) | 9398.66 | 9233.88 | 8404.87 |
| Predicted Beta | 1.29 | 1.35 | 1.36 |
| Idiosyncratic Volatility | 2.92 | 4.77 | 5.28 |
Annualized return and volatility
| IWN | |
|---|---|
| Annualized Return | 0.0900 |
| Annualized Std Dev | 0.2235 |
| Annualized Sharpe (Rf=0%) | 0.4030 |
Row
Daily Return Statistics
| IWN | |
|---|---|
| Observations | 4966.0000 |
| NAs | 148.0000 |
| Minimum | -0.1264 |
| Quartile 1 | -0.0063 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0076 |
| Maximum | 0.0949 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0141 |
| Skewness | -0.2071 |
| Kurtosis | 6.6800 |
Downside Risk
| IWN | |
|---|---|
| Semi Deviation | 0.0101 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0105 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0099 |
| Downside Deviation (0%) | 0.0099 |
| Maximum Drawdown | 0.6155 |
| Historical VaR (95%) | -0.0208 |
| Historical ES (95%) | -0.0325 |
| Modified VaR (95%) | -0.0216 |
| Modified ES (95%) | -0.0377 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2012-12-20 | -0.6155 | 1423 | 455 | 968 |
| 2002-05-03 | 2002-10-09 | 2003-09-04 | -0.3407 | 346 | 113 | 233 |
| 2018-08-23 | 2018-12-24 | NA | -0.2490 | 344 | 87 | NA |
| 2015-06-24 | 2016-02-11 | 2016-08-05 | -0.2254 | 287 | 164 | 123 |
| 2001-07-02 | 2001-09-21 | 2001-12-18 | -0.1942 | 117 | 55 | 62 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IWN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | 1.0 | 0.2 | 0.0 | -0.3 | 0.5 | 0.0 | 1.4 |
| 2001 | 0.8 | -0.2 | 0.0 | 0.5 | 0.6 | 0.0 | 0.9 | 0.0 | -1.1 | 1.4 | 0.0 | 0.0 | 3.0 |
| 2002 | 0.0 | 2.1 | 0.3 | 0.5 | 0.0 | -1.8 | -0.7 | 0.0 | 2.6 | 2.6 | 0.0 | 0.0 | 5.8 |
| 2003 | 0.0 | 0.0 | 1.2 | -0.1 | 0.0 | 1.2 | -1.6 | 0.0 | 3.0 | 0.0 | 1.3 | 0.0 | 5.1 |
| 2004 | 0.0 | 1.3 | 0.9 | 0.0 | 0.8 | -1.2 | 0.0 | 0.4 | 2.1 | 0.6 | 0.8 | 0.0 | 5.8 |
| 2005 | 0.6 | 1.0 | -0.5 | 0.0 | 1.3 | 0.7 | 0.1 | 0.0 | 0.0 | 0.7 | 1.8 | 0.0 | 5.8 |
| 2006 | 0.9 | 1.7 | 0.0 | -0.8 | 2.0 | 0.0 | -1.3 | 0.1 | 0.0 | -1.9 | -0.3 | 0.0 | 0.3 |
| 2007 | 1.0 | -0.5 | 0.0 | 0.6 | 0.7 | 0.0 | 0.4 | 0.0 | 2.5 | -4.2 | 0.0 | 0.0 | 0.4 |
| 2008 | 2.2 | 0.0 | 4.1 | 1.8 | 0.0 | 0.4 | 0.8 | 0.0 | -2.3 | 0.0 | -12.6 | 0.0 | -6.4 |
| 2009 | 0.0 | 0.0 | 1.4 | 0.1 | 4.1 | 2.0 | 0.0 | -2.8 | -3.2 | 0.0 | 1.9 | 0.0 | 3.3 |
| 2010 | 1.1 | 2.2 | 1.0 | 0.0 | -3.5 | -0.7 | 0.0 | 3.7 | 0.4 | -0.7 | 2.1 | 0.0 | 5.6 |
| 2011 | 2.2 | -1.9 | 0.5 | 0.0 | -3.0 | 1.5 | -0.5 | -2.4 | 0.0 | -3.6 | -0.9 | 0.0 | -8.0 |
| 2012 | 2.0 | 0.4 | 0.0 | 0.0 | -2.7 | 0.0 | -1.7 | 0.0 | 0.4 | 1.3 | 0.0 | 0.0 | -0.2 |
| 2013 | 0.9 | 0.4 | -1.1 | -2.5 | 0.0 | 1.1 | 1.1 | 0.0 | 1.0 | -0.3 | 0.0 | 0.0 | 0.7 |
| 2014 | 0.0 | 0.0 | 1.1 | -0.3 | 0.0 | 1.0 | -0.4 | 0.0 | -1.1 | 0.0 | -1.4 | 0.0 | -1.1 |
| 2015 | 0.0 | 0.0 | 0.2 | 0.3 | 0.3 | 0.3 | 0.0 | -2.8 | -0.2 | 0.0 | 0.6 | 0.0 | -1.3 |
| 2016 | -0.6 | 2.0 | 0.1 | 0.0 | 0.6 | 0.4 | -0.3 | -0.3 | 0.0 | -1.2 | 0.1 | 0.0 | 0.8 |
| 2017 | 0.0 | 2.0 | 0.0 | 0.5 | 1.9 | 0.0 | 0.2 | 0.6 | 0.0 | -0.4 | -0.3 | 0.0 | 4.6 |
| 2018 | 0.2 | 0.0 | 0.0 | 0.3 | 0.6 | 0.0 | -0.1 | 0.0 | -1.2 | 1.5 | 0.0 | 0.0 | 1.2 |
| 2019 | 0.1 | 0.5 | 1.3 | -0.8 | 0.0 | 0.4 | -2.1 | 0.0 | -1.8 | 1.6 | 0.0 | 0.1 | -0.5 |
Row
Rolling Performance Chart
Snail Trail Chart
